Stock Volatility, Institutional Ownership and Analyst Coverage

Bankers Markets & Investors, Forthcoming

31 Pages Posted: 5 Jan 2011

See all articles by Jean-Michel Sahut

Jean-Michel Sahut

IDRAC Business School

Sami Gharbi

Jendouba University

Hidaya Othmani Gharbi

Aix-Marseille University; Jendouba University - Faculty of Law, Economics and Management of Jendouba

Date Written: January 5, 2011

Abstract

We examine the relation between stock volatility and asymmetric information empirically. We use two proxies of information asymmetry: institutional ownership and analyst coverage. We find that firms covered by more analysts are more likely to have less volatile returns. A significant and positive bilateral relationship between stock volatility and institutional block holdings is observed supporting possible herding behaviours of institutional investors.

Keywords: institutional investors, stock volatility, asymmetric information, analyst coverage

JEL Classification: G14, G11, G32

Suggested Citation

Sahut, Jean-Michel and Gharbi, Sami and Gharbi, Hidaya Othmani, Stock Volatility, Institutional Ownership and Analyst Coverage (January 5, 2011). Bankers Markets & Investors, Forthcoming. Available at SSRN: https://ssrn.com/abstract=1735324

Jean-Michel Sahut (Contact Author)

IDRAC Business School

47 rue du Sergent Michel Berthet
Lyon, 69009
France

Sami Gharbi

Jendouba University ( email )

Avenue du Maghreb Arabe
Jendouba, 1100
Tunisia

Hidaya Othmani Gharbi

Aix-Marseille University ( email )

3 Avenue Robert Schuman
13090
France

Jendouba University - Faculty of Law, Economics and Management of Jendouba ( email )

Tunisia

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